الصفحة 1
الصفحة 1
Optimisation et contrôle stochastique appliqués à la finance = Optimization and stochastic control applied to finance
The objective and the originality of this book is to present the different aspects and methods used in the resolution of stochastic optimization problems with a view to more specific applications in finance: portfolio management, option hedging, optimal investment. . We have included some recent developments on the subject without seeking a priori the greatest generality. We wanted a gradual exposure of mathematical methods by first presenting the intuitive ideas and then precisely stating the results with full and detailed proofs.
Optimisation appliquée = Optimization applied
Presents the fundamental concepts of classical optimization and linear programming. In addition to a prologue and epilogue, the book includes a section on mathematical theory, covering matrix calculus and systems of linear equations and inequalities. It then deals with classical optimization, both constrained and unconstrained, linear programming, the simplex method, and the revised simplex method. The final chapters are devoted to duality, post-optimization and sensitivity analysis, as well as transportation problems. Emphasis is placed on explaining the methods presented and their applications. Numerous numerical examples drawn from various economic and social situations are provided.
